Changes in the affinity of the swollen and collapsed forms of a thermoresponsive polymer gel for targeted ligands can be directly estimated using a thermodynamic approach based on high-sensitivity differential scanning calorimetry (HS-DSC). For macromolecular ligands (proteins) bound to the gel, this method provides information on changes in their conformational stability, which is of crucial importance for the biological or pharmaceutical activity of the protein. We used HS-DSC for the study of interactions of two widely administrated drugs-gemfibrozil and ibuprofen-and two globular proteins-α-lactalbumin and BSA-with hydrogels of the cross-linked poly(methoxyethylaminophosphazene). The gel collapse resulted in a substantial increase in the gel affinity for the drugs. We obtained quantitative estimations of the affinity of the collapsed gels depending on the gel structure, pH, concentration of NaCl, and phosphate buffer (an inductor of the thermoresponsivity). The gels retained a high affinity for the drugs in the near-physiological conditions (ionic composition and pH). The binding curves of globular proteins to the gels in the swollen and collapsed states were obtained. The different proteins demonstrated the preferential binding to the swollen or collapsed state of the gels, presumably depending on the protein surface hydrophobicity. The proteins bound to the gel subchains retain their native tertiary structure and, therefore, maintain their functionality when immobilized in the polyphosphazene hydrogels.